Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 2 1
Score -4.77 -3.44 -5.72
Market Cap (Millions USD) 3114.78 2784.27 2846.93
Predicted Beta 0.38 0.38 0.38
Idiosyncratic Volatility 1.33 1.5 1.89

Annualized return and volatility

EWT
Annualized Return 0.0267
Annualized Std Dev 0.2930
Annualized Sharpe (Rf=0%) 0.0911

Row

Daily Return Statistics

EWT
Observations 4991.0000
NAs 123.0000
Minimum -0.1163
Quartile 1 -0.0084
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0089
Maximum 0.1416
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0185
Skewness 0.1205
Kurtosis 5.6211

Downside Risk

EWT
Semi Deviation 0.0131
Gain Deviation 0.0134
Loss Deviation 0.0135
Downside Deviation (MAR=210%) 0.0176
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.6436
Historical VaR (95%) -0.0285
Historical ES (95%) -0.0436
Modified VaR (95%) -0.0274
Modified ES (95%) -0.0392
From Trough To Depth Length To Trough Recovery
2000-07-18 2002-10-07 2007-10-29 -0.6436 1862 566 1296
2007-10-30 2008-11-20 2011-01-27 -0.6291 833 275 558
2015-04-28 2016-01-15 2017-02-10 -0.3134 459 186 273
2011-02-08 2011-12-19 2014-04-09 -0.2908 811 221 590
2018-01-23 2019-01-03 2019-10-17 -0.2049 445 244 201

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWT
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.0 -3.0 0.0 -1.5 2.2 0.0 -2.3
2001 0.7 -2.2 0.0 0.4 0.3 0.0 2.4 0.0 -0.1 0.3 0.0 0.0 1.5
2002 -1.8 1.7 -1.0 0.9 0.0 -7.6 -1.1 0.0 -2.0 2.0 0.0 0.0 -8.8
2003 0.0 0.0 2.1 0.1 0.0 4.5 -0.2 0.0 1.8 0.0 2.4 0.0 11.1
2004 0.0 4.8 2.5 0.0 -2.8 -2.5 0.0 1.2 3.6 -0.6 0.5 0.0 6.7
2005 0.0 1.6 0.7 0.0 -0.5 0.0 0.9 0.3 0.0 -0.5 0.8 0.0 3.4
2006 -0.2 3.2 0.0 0.5 2.6 0.0 -1.9 2.2 0.0 -1.4 0.1 0.0 5.0
2007 0.4 -0.7 0.0 0.5 1.4 0.0 -2.7 0.0 2.8 -4.7 0.0 0.0 -3.2
2008 4.1 0.0 3.0 2.2 0.0 -1.2 -0.5 0.0 -0.3 0.0 -6.2 0.0 0.8
2009 0.0 0.0 4.5 0.9 1.2 2.3 0.0 1.1 -1.3 0.0 1.6 0.0 10.6
2010 -0.2 2.2 2.6 0.0 -1.7 -0.2 0.0 1.8 0.6 0.9 2.8 0.0 9.2
2011 2.5 0.0 1.6 0.0 -0.1 1.4 0.4 -1.1 0.0 -0.5 1.1 0.0 5.3
2012 1.4 1.6 0.0 0.4 -3.9 0.0 0.3 0.0 0.7 1.3 0.0 0.0 1.8
2013 0.3 0.3 -0.1 -0.9 0.0 0.5 0.7 0.0 1.7 -0.8 0.0 0.0 1.7
2014 0.0 0.0 1.3 0.1 0.0 1.8 0.4 0.0 -1.0 0.0 -1.6 0.0 0.9
2015 0.0 0.0 0.0 0.9 -0.9 1.5 0.0 -2.9 2.1 0.0 2.1 0.0 2.6
2016 0.0 3.0 -0.5 0.0 0.8 1.1 1.1 0.3 0.0 -1.1 -1.1 0.0 3.7
2017 0.1 0.5 0.0 0.4 1.0 0.0 0.4 0.5 0.0 -0.2 -0.3 0.0 2.5
2018 -0.3 0.4 0.0 -0.4 1.8 0.0 0.0 0.0 0.3 2.3 0.0 0.0 4.2
2019 -0.8 0.5 0.9 -0.3 0.0 1.7 -1.8 0.0 0.2 1.2 0.0 -0.5 0.9

Row

Rolling Performance Chart

Snail Trail Chart